Estimation of flexible fuzzy GARCH models for conditional density estimation

DOI10.1016/j.ins.2014.01.021zbMath1343.62051OpenAlexW2025637001MaRDI QIDQ2629962

João Miguel Da Costa Sousa, Uzay Kaymak, Rui Jorge Almeida, Nalan Baştürk

Publication date: 8 July 2016

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1765/40785

zbMATH Keywords

linguistic descriptionvolatility forecastingconditional density estimationfuzzy GARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and fuzziness (62M86)

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